Luckily I was dressed or in the shower. Her excuse was the gym music and acoustics made it impossible for her voice to be heard before she entered. Mmmm maybe maybe not. Only problem was if something got misinterpreted by me then .....
Except for only one woman this is something that might have happened to me one time at a gym where I used to live that was open 24/7. Had one female staff employee there walk into the men's locker room/shower area on me several times unannounced.